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The Practical Quant's Blog

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2011 Hedge Fund Performance

January 22, 2012 Comments (0)

In a year when the S&P 500 finished flat, many hedge fund managers once again failed to produce -- so much for absolute returns. 2011 was a tough year, but three styles stood out: Global Macro, Fixed Income Arb, Equity Market Neutral managers were able to eke out modest end-to-end returns.(Click to enlarge)In addition, when viewed over a longer time-horizon only two styles (Global Macro, Fixed Income Arb) produced impressive end-to-end performance numbers when compared to the S&P 500. (Click...

Long-term performance of Venture Capital & Hedge Funds

January 22, 2012 Comments (0)

With the 1990's dotcom period no longer part of the most recent 10-year window, VC returns have come crashing down. In a recent article over at Verisi Data Studio, I compare VC's to Hedgies and a series of financial benchmarks. See the complete article for details:(Click to enlarge)

Data Mining with the Maximal Information Coefficient

January 22, 2012 Comments (0)

I have a new post up on the Maximal Information Coefficient, over at Verisi Data Studio. Go to this page for details.

Hedge Fund Performance (Nov/2011) & Maximum Drawdown

January 22, 2012 Comments (0)

Here are the latest performance numbers for the Dow Jones Credit Suisse Hedge Fund Indices: November was a tough month for all trading styles. The top performer (Fixed Income Arb) returned half a percent. On the other hand, given the turmoil in the markets due to uncertainty in the EU, the worst performer (Emerging Markets) was only down 2.7%. The top performer in 2011 has been Global Macro (up 6% for the year, and flat in November):(Click to enlarge)Global Macro also leads the way over the...

On Elite Schools, and Soft vs. Hard Skills

January 22, 2012 Comments (0)

Steve Hsu pointed me to a recent discussion on recruiting practices of elite professional service firms (investment banking, consulting and law firms), nicely summarized by Robert Teitelman.I have two quick comments:The results from Lauren Rivera's survey of elite professional service firms fits nicely with what Karen Ho documented in her ethnographic study of investment banking firms. See here for my review of Karen's book.I am a technical quant (nowadays I'm more fashionably referred to as a...

2011 Web 2.0 Summit: By the Numbers

January 22, 2012 Comments (0)

Here's a sampling of factoids I heard at the sessions I attended this week.Sean Parker:Recorded music annual revenue has gone from about $48B to about $12B annuallyValidation for Secondmarket prices: The Forbes list of the richest people in the US, contains several early Facebook investors.Retail industry & ebay stats from John Donohoe:Customers use their phones to buy 2,600 cars on ebay each week (mostly via ebay's mobile app).Paypal has over 100M customers with at least two financial accounts...

Today's Occupy SF March

January 22, 2012 Comments (0)

We've spent a few evenings hanging out at the OccupySF encampment in front of the Federal Reserve Building. Today we went to a march that went from the base camp to City Hall. While not as big as some recent SF marches (particularly right before the Iraq invasion) the energy level and enthusiasm was high. I estimate the crowd at a few thousand. As a veteran of street protests in the Philippines I've always believed that real change requires a parliament of the streets.Related Resources:Income...

The Best of @BigData Sep/2011

January 22, 2012 Comments (0)

Here are the most popular tweets/links shared through my BigData twitter stream:Case for accurate metrics: Realizing that the nation's economics statistics could use an overhaul, the Federal Reserve puts out an RFP.Large-Scale Classiļ¬cation (video events on Youtube): Using text-mining to learn optimal taxonomies.The World Bank's open data repository: Easy to navigate site filled with loads of interesting data.Is Teaching MapReduce Healthy for Students?: Berkeley DB Professor, Joe Hellerstein's...

Twitter's Front-end Summit

January 22, 2012 Comments (0)

Twitter had another well-attended engineering open house last Tuesday and I was able to attend the first two presentations. Here are a few observations:pdf.js: Mozilla's Andreas Gal gave an overview of a relatively new project to develop a faithful and efficient pdf reader in HTML5 and Javascript. I've been waiting for Firefox to come with a pdf reader for a long time, and at some point (I hope) in the not-so-distant pdf.js will ship with it. What began as an experiment in HTML5 and Javascript...

Proposed U.S. Tax Hikes in a few charts

January 22, 2012 Comments (0)

Over the past few weeks I've put together a few charts and infographics that are relevant to current tax discussions in the U.S. A day after the proposed millionaires tax was announced, critics have already cast doubts on its central premise: that millionaires pay taxes at a lower rate than middle class families. I created these charts to help me place the proposals in (historical) context and hopefully it will be of value to others. [Unfortunately you have to follow the links to the charts...